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• W2074430424 abstract "We study the risk of informed trading in an electronic foreign exchange market and test whether informed trading is driven by marketwide private information. Our framework is based on a structural microstructure trade model that measures the market makers' beliefs directly. Evidence of high concentration of informed trades is found to be inversely related to the overall 24-hour trading activity, i.e., early morning and late afternoon GMT rounds of trading involve the highest risk of informed trading. We structurally identify that the trades due to region-specific private information are dominant and explain between 5 and 25% of the variation in currency returns. In contrast, marketwide private information explains only about 1–5% of the variation in returns." @default.
• W2074430424 created "2016-06-24" @default.
• W2074430424 creator A5088774893 @default.
• W2074430424 creator A5091471139 @default.
• W2074430424 date "2013-07-01" @default.
• W2074430424 modified "2023-09-30" @default.
• W2074430424 title "Private information and its origins in an electronic foreign exchange market" @default.
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• W2074430424 doi "https://doi.org/10.1016/j.econmod.2013.03.007" @default.
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